This study examines investor herding behavior in Pacific-Basin equity markets. We find that herding is present in both rising and falling markets. Importantly, the level of herding is time-varying. We also find that herding is positively related to stock returns, but negatively related to market volatility. Herding estimates across markets are positively correlated, signifying co-movement of in...

Market Stress and Herding* We propose a new approach to detecting and measuring herding which is based on the cross-sectional dispersion of the factor sensitivity of assets within a given market. This method enables us to evaluate if there is herding towards particular sectors or styles in the market including the market index itself and critically we can also separate such herding from common ...

Herding behavior is widely observed in auctions. There are rational reasons for herding but herding can also be counterproductive. We found evidence of herding behavior and sub-optimal outcome in a multi-winner auction setting. This study adds to the knowledge of herding by looking at herding in an auction setting where there is extra incentive to herd (multi-winner auction). Our findings recon...

We show that the algorithm by Batra et al. (2012) to extract diverse M -solutions from a Conditional Random Field (called divMbest) takes exactly the form of a Herding procedure (Welling, 2009b), i.e. a deterministic dynamical system that produces a sequence of solutions that respect a set of observed moment constraints. This generalization enables us to invoke properties of Herding that show t...

This paper examines herding behavior in global markets. By applying daily data for 18 countries from May 25, 1988, through April 24, 2009, we find evidence of herding in advanced stock markets (except the US) and in Asian markets. No evidence of herding is found in Latin American markets. Evidence suggests that stock return dispersions in the US play a significant role in explaining the non-US ...

We describe conditions on signal distributions that are necessary and sufficient for informational herding in a stylized model of sequential specialist security trading. Curiously, there can be persistent herding even with signals that satisfy the Monotone Likelihood Ratio Property. Price paths are strongly biased in the direction of the herd but prices are also very sensitive to movements agai...

A parametric version of herding is formulated. The nonlinear mapping between consecutive time slices is learned by a form of self-supervised training. The resulting dynamical system generates pseudo-samples that resemble the original data. We show how this parametric herding can be successfully used to compress a dataset consisting of binary digits. It is also verified that high compression rat...

Lenders’ herding behavior in the peer-to-peer (P2P) lending platform in China is examined. Based on the data from PPdai.com, the largest online P2P lending market in China, we found that herding behavior is salient in P2P lending market in China, and such herding is associated with higher default rate. Keyword: Rational herding, information cascade, peer-to-peer online lending

Microloan markets allow individual borrowers to raise funding from multiple individual lenders. We use a unique panel dataset which tracks the funding dynamics of borrower listings on Prosper.com, the largest microloan market in the United States. We find evidence of rational herding among lenders. Well-funded borrower listings tend to attract more funding after we control for unobserved listin...

This study aims to explore the relationship between the disposition effect and herding behavior of investors trading Taiwanese information technology stocks. This study differs from previous literature in two aspects. First, in contrast with the earlier studies that focused on investigating investors’ herding behavior, this study explores the possibility that the disposition effect drives inves...